My build thread has some useful information in this regard.
http://www.polog40.co.uk/forum/index.php/topic,5819.0.htmlAndy's build thread on Club Polo, Hayesey's and Yoof's on here plus others are also full of conversion gold.
The first question you should ask yourself is can you justify the funds? If you go down the G40 management with K03 turbo route you're looking at at least £1k to do it properly and that's with a lot of fabrication. If like me you don't have the skills to build your own manifold, map your own car or already have G40 management around then the costs get a lot higher (like, double).
For less cash there is the 1.4 or 1.6 16v normally aspirated route which will still land you in darn quick Mk3 territory.